Paper 2, Section II, J

Principles of Statistics | Part II, 2021

Let X1,,XnX_{1}, \ldots, X_{n} be i.i.d. random observations taking values in [0,1][0,1] with a continuous distribution function FF. Let F^n(x)=n1i=1n1{Xix}\hat{F}_{n}(x)=n^{-1} \sum_{i=1}^{n} \mathbf{1}_{\left\{X_{i} \leqslant x\right\}} for each x[0,1]x \in[0,1].

(a) State the Kolmogorov-Smirnov theorem. Explain how this theorem may be used in a goodness-of-fit test for the null hypothesis H0:F=F0H_{0}: F=F_{0}, with F0F_{0} continuous.

(b) Suppose you do not have access to the quantiles of the sampling distribution of the Kolmogorov-Smirnov test statistic. However, you are given i.i.d. samples Z1,,ZnmZ_{1}, \ldots, Z_{n m} with distribution function F0F_{0}. Describe a test of H0:F=F0H_{0}: F=F_{0} with size exactly 1/(m+1)1 /(m+1).

(c) Now suppose that X1,,XnX_{1}, \ldots, X_{n} are i.i.d. taking values in [0,)[0, \infty) with probability density function ff, with supx0(f(x)+f(x))<1\sup _{x \geqslant 0}\left(|f(x)|+\left|f^{\prime}(x)\right|\right)<1. Define the density estimator

f^n(x)=n2/3i=1n1{Xi12n1/3xXi+12n1/3},x0.\left.\hat{f}_{n}(x)=n^{-2 / 3} \sum_{i=1}^{n} \mathbf{1}_{\left\{X_{i}\right.}-\frac{1}{2 n^{1 / 3}} \leqslant x \leqslant X_{i}+\frac{1}{2 n^{1 / 3}}\right\}, \quad x \geqslant 0 .

Show that for all x0x \geqslant 0 and all n1n \geqslant 1,

E[(f^n(x)f(x))2]2n2/3.\mathbb{E}\left[\left(\hat{f}_{n}(x)-f(x)\right)^{2}\right] \leqslant \frac{2}{n^{2 / 3}} .

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